Financial Risk Manager Part 2

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Explanation:

Component VaRᵢ = (ΔVaRᵢ) × wᵢW
= $\frac{\text{VaR} \beta_i}{W} \times w_i W = \text{VaR} \beta_i w_i$
= $8,000,000 * 1.2 * \left(\frac{10,000,000}{40,000,000}\right) $= `$ 2`,400,000$

Explanation:

Component VaRᵢ = (ΔVaRᵢ) × wᵢW
= $\frac{\text{VaR} \beta_i}{W} \times w_i W = \text{VaR} \beta_i w_i$
= $8,000,000 * 1.2 * \left(\frac{10,000,000}{40,000,000}\right) $= `$ 2`,400,000$

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Q.3145 Jack Wills is a portfolio manager at a sovereign wealth fund. His portfolio has a VaR of `$8`,000,000. The portfolio is made up of investments in four companies: Sahara Petroleum, Burki Refinery, Dumsim Drillers, and RedSea Exploration. The four company assets are equally weighted within the portfolio with each position valued at `$10`,000,000:

Sahara Petroleum has a beta of 1.2

Burki Refinery has a beta of 1.4.

Dumsim Drillers has a beta of 0.8

RedSea Exploration has a beta of 0.6

Based on the above information, the component VaR for Sahara Petroleum is closest to:

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Last updated: July 5, 2026 at 07:07

$2,400,000

$1,920,000

$3,000,000

$4,320,000